This study evaluates the impact of urban migration on the mental health of young women, focusing specifically on how objective life stressors, perceived neighborhood safety, and subjective socioeconomic status influence depression. Depression is the main outcome measure in this research, serving as a critical indicator of mental health in the context of urban migration. Utilizing a stratified cluster sampling approach, we collect data from 2138 young female migrants in Bao’an District, Shenzhen, employing the Life Stress Scale, Patient Health Questionnaire-9 items, Perceived Neighborhood Safety Scale, and Subjective Social Economic Status Scale to assess the corresponding constructs. Our findings highlight that life stressors directly contribute to increased depression levels among young female migrants, with perceived neighborhood safety significantly mediating this relationship. Furthermore, subjective socioeconomic status moderates the impact of life stressors on perceived neighborhood safety, underlining the intricate dynamics between objective life stressors and the social-environmental context in shaping mental health outcomes. This research underscores the importance of creating supportive and inclusive social environments to mitigate the adverse psychological effects of life stressors on young female migrants, thereby contributing to discussions on sustainability and social welfare.